BridgeT: Bridge transformation

In pvar: Calculation and Application of p-Variation

Bridge transformation

Description

Transforms data by Bridge transformation.

Usage

BridgeT(x, normalize = TRUE)

Arguments

x	x a numeric vector of data values.
normalize	logical, indicating whether the vector should be normalized.

Details

Let n denotes the length ox x. For each m \in [1,n] bridge transformations BridgeT is defined as

BridgeT(m, x) = ( ∑^m x_i - m/n ∑^n x_i ).

Meanwhile, the transformation with normalization is

BridgeT(m, x) = ( ∑^m x_i - m/n ∑^n x_i ) / (n var(x))^0.5.

Value

A numeric vector.

See Also

PvarBreakTest, rbridge

Examples

x <- rnorm(1000)
Bx <- BridgeT(x, FALSE)

op <- par(mfrow=c(2,1),mar=c(4,4,2,1))
plot(cumsum(x), type="l")
plot(Bx, type="l")
par(op)

pvar documentation built on Oct. 18, 2022, 9:09 a.m.